Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Seatrium Limited backtest
10 trend-following strategies were compared on the full daily history of Seatrium Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -46.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -51.5%, Sharpe 0.35, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 0.9%, MDD -46.7%, exposure 20%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=76 |
5.8% | -51.5% | 0.35 | 0.11 | 3.3x | 70 | 48% |
| Supertrend period=16, mult=4.1 |
2.5% | -76.7% | 0.23 | 0.03 | 1.7x | 90 | 49% |
| Donchian 채널 돌파 entryN=96, exitN=58 |
2.5% | -57.1% | 0.22 | 0.04 | 1.7x | 32 | 37% |
| ROC 모멘텀 n=73, threshold=0 |
2.4% | -71.5% | 0.22 | 0.03 | 1.7x | 184 | 46% |
| EMA 크로스오버 fast=34, slow=99 |
2.0% | -62.1% | 0.21 | 0.03 | 1.5x | 44 | 44% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=3.4 |
0.9% | -46.7% | 0.14 | 0.02 | 1.2x | 62 | 20% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-2.1% | -85.4% | 0.05 | -0.02 | 0.6x | 348 | 47% |
| 볼린저 밴드 돌파 n=19, k=2.6 |
-0.8% | -68.7% | 0.05 | -0.01 | 0.9x | 106 | 15% |
| ADX / DI 방향성 period=17, threshold=6 |
-2.1% | -85.5% | 0.05 | -0.03 | 0.6x | 401 | 47% |
| MACD fast=6, slow=24, signal=9 |
-3.8% | -84.9% | 0.00 | -0.04 | 0.4x | 483 | 51% |
| Buy and hold | -10.9% | -97.9% | -0.09 | -0.11 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 76-day average
- Sell — Sell (to cash) when the 51-day average falls below the 76-day average